In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-diffusion process.
R. Andergassen, L. Sereno (2012). Valuation of N-stage Investments Under Jump-Diffusion Processes. COMPUTATIONAL ECONOMICS, 39, 289-313 [10.1007/s10614-011-9273-z].
Valuation of N-stage Investments Under Jump-Diffusion Processes
ANDERGASSEN, RAINER;SERENO, LUIGI
2012
Abstract
In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-diffusion process.File in questo prodotto:
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